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Now-casting Irish GDP

Antonello D'Agostino, Kieran McQuinn and Derry O'Brien
Additional contact information
Derry O'Brien: Central Bank and Financial Services Authority of Ireland

No 9/RT/08, Research Technical Papers from Central Bank of Ireland

Abstract: In this paper we present "now-casts" of Irish GDP using timely data from a panel data set of 41 different variables. The approach seeks to resolve two issues which commonly confront forecastors of GDP - how to parsimoniously avail of the many different series, which can potentially influence GDP and how to reconcile the within-quarterly release of many of these series with the quarterly estimates of GDP? The now-casts in this paper are generated by firstly, using dynamic factor analysis to extract a common factor from the panel data set and, secondly, through use of bridging equations to relate the monthly data to the quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the results of the now-casting exercise are compared with those of a standard benchmark model.

JEL-codes: C53 E27 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2008-11
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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https://centralbank.ie/docs/default-source/publica ... 'brien).pdf?sfvrsn=6 (application/pdf)

Related works:
Journal Article: Nowcasting Irish GDP (2012) Downloads
Working Paper: Nowcasting Irish GDP (2011) Downloads
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